Generalized sup ADF (GSADF) test procedure developed by Phillips, Shi, and Yu (Testing for Multiple Bubbles: Historical Episodes …

Generalized supADF (GSADF) test procedure developed by Phillips et al. (Testing for multiple bubbles: Historical episodes of …

We develop a methodology for detecting asset bubbles using a neural network. We rely on the theory of local martingales … the current estimator, obtaining an improved detection of bubbles. We show the outperformance of our algorithm over the … and build a zero net exposure trading strategy that exploits the risky arbitrage emanating from the presence of bubbles in …

the presence of bubbles (defined according to the local martingale theory). We advocate that quadratic-variation risk … premium can serve as a mechanism leading to forward-looking explosive price dynamics when bubbles are present. Our empirical …

This study provides new mechanisms for identifying and estimating explosive bubbles in mixed-root panel autoregressions …

, there are theoretical reasons to believe that the price-rent ratio is a poor signal for bubbles. It may be that the ratio is … is not a reliable indicator of bubbles …

major cities during the sample period. While the size of bubbles varies across cities, especially when we use the house …

This paper investigates whether there are bubbles in stock prices. We do this using a previously studied structural … tandem with their fundamentals. We therefore find no evidence in favor of stock price bubbles in all the countries invested. …

Abreu and Brunnermeier (2003) have argued that bubbles are not suppressed by arbitrageurs because they fail to … with the alternative according to which bubbles persist due to the difficulty of agreeing on the end of bubbles. We present …. We find overwhelming evidence that the beginning of bubbles is much better constrained that their end. Our results are …